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3 . The following rates are actual yields in % on US yield curve observed on the dates given: Date 1 Mo 2 Mo 3
3.The following rates are actual yields in % on US yield curve observed on the dates given:
Date | 1 Mo | 2 Mo | 3 Mo | 6 Mo | 1 Yr | 2 Yr | 3 Yr | 5 Yr | 7 Yr | 10 Yr | 20 Yr | 30 Yr |
3/9/2019 | 2.06 | 2.01 | 1.98 | 1.88 | 1.72 | 1.47 | 1.38 | 1.35 | 1.42 | 1.47 | 1.77 | 1.95 |
16/2/2022 | 0.03 | 0.17 | 0.38 | 0.67 | 1.09 | 1.52 | 1.75 | 1.90 | 2.00 | 2.03 | 2.39 | 2.34 |
a) Plot the yield curves for 3 September 2019 and 16 February 2022. Interpret these yield curves on investor expectations with regards to the future state of the US economy.
b) Given information about yields on 16/2/2022, i) calculate the expected 3-year yield that the market is expecting between 16 February 2022 and 16 February 2025. ii) calculate the 20-year yield that is expected to prevail between 16 February 2032 and 16 February 2052 under the expectations theory of the term structure of interest rates.
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